Measuring inflation expectations and inflation expectations uncertainty. This project aims to construct model-based measures of inflation expectations and inflation expectations uncertainty. Inflation expectations can determine economic outcomes. This project will develop non-linear time-varying models to combine information from noisy and possibly biased measures of inflation expectations from surveys and financial markets. These model-based measures are expected to be better calibrated and to ....Measuring inflation expectations and inflation expectations uncertainty. This project aims to construct model-based measures of inflation expectations and inflation expectations uncertainty. Inflation expectations can determine economic outcomes. This project will develop non-linear time-varying models to combine information from noisy and possibly biased measures of inflation expectations from surveys and financial markets. These model-based measures are expected to be better calibrated and to provide valuable information for policymakers for formulating macroeconomic policies. They can be used to better assess the credibility of monetary policy and shed light on the causes of low inflation rate in developed economies.Read moreRead less
Entropic Analysis of Financial Risk and Uncertainty. The recent financial crisis has shown that the financial markets are not as stable as expected, and are at risk from a lack of knowledge about new financial products and their risks. This research provides a framework to better measure and forecast financial risks by applying a set of techniques known collectively as entropic analysis as a novel way to measure the amount of information that can be extracted from historical data. The research w ....Entropic Analysis of Financial Risk and Uncertainty. The recent financial crisis has shown that the financial markets are not as stable as expected, and are at risk from a lack of knowledge about new financial products and their risks. This research provides a framework to better measure and forecast financial risks by applying a set of techniques known collectively as entropic analysis as a novel way to measure the amount of information that can be extracted from historical data. The research will facilitate the design of policies and regulations by regulatory authorities that need to evaluate new financial products, their associated risks and their impacts on the financial markets.Read moreRead less
Understanding Dynamic Aspects of Economic Inequality. This project aims to study dynamic aspects of inequality in Australia by exploring the changes in labour and housing market conditions and their relation to the changes in the distribution of income and wealth over the last decade. The project also aims to develop new econometric techniques to examine the factors that are responsible for the changes in the distribution of income and wealth and a range of labour and housing market outcomes. Pa ....Understanding Dynamic Aspects of Economic Inequality. This project aims to study dynamic aspects of inequality in Australia by exploring the changes in labour and housing market conditions and their relation to the changes in the distribution of income and wealth over the last decade. The project also aims to develop new econometric techniques to examine the factors that are responsible for the changes in the distribution of income and wealth and a range of labour and housing market outcomes. Particular attention will be paid to the role of the changes in individual-specific characteristics (such as education, age, employment status, and occupation) and neighbourhood-specific characteristics (such as house prices and population ageing) in producing inequality.Read moreRead less
Inventories and the Business Cycle in Australia and the U.S. The project looks at the contribution that inventories make to business cycles in Australia and the U.S. It uses recent research by the chief investigator on measuring business cycles in order to explain how the presence of inventories in an economic system might influence activity in that system. It then adapts an existing model in the literature to quantify the role of inventories in the Australian and U.S business cycles.. It seeks ....Inventories and the Business Cycle in Australia and the U.S. The project looks at the contribution that inventories make to business cycles in Australia and the U.S. It uses recent research by the chief investigator on measuring business cycles in order to explain how the presence of inventories in an economic system might influence activity in that system. It then adapts an existing model in the literature to quantify the role of inventories in the Australian and U.S business cycles.. It seeks to answer a number of questions that have arisen in recent years over whether the business cycle is becoming longer owing to improved methods of inventory controlRead moreRead less
Inference in partially non-stationary time series models. Economic theories typically specify the long-run relationship between economic variables. However, researchers usually examine the long-run features of the data by fitting a restrictive class of models using criteria that have only proven useful for short-term forecasting. In this project we consider alternative models and modelling strategies that are appropriate for the study of the long-run. We also develop computer intensive (bootstra ....Inference in partially non-stationary time series models. Economic theories typically specify the long-run relationship between economic variables. However, researchers usually examine the long-run features of the data by fitting a restrictive class of models using criteria that have only proven useful for short-term forecasting. In this project we consider alternative models and modelling strategies that are appropriate for the study of the long-run. We also develop computer intensive (bootstrap) methods, which will provide a much-needed improvement over the existing (asymptotic) methods for making inference about the long-run. Our research will lead to more reliable models for long-term planning in business, industry and government.Read moreRead less
Vector ARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms. Economic variables are strongly related to each other, as well as being strongly related to their recent history. As a result, good dynamic multivariate models are crucial for effective policy making and forecasting in areas of vital national importance such as monetary and fiscal policy, environmental policy and tourism. Our project advances the frontiers of knowledge in multivariate time series modelling. The ....Vector ARMA Models and Macroeconomic Modelling: Some New Methodology and Algorithms. Economic variables are strongly related to each other, as well as being strongly related to their recent history. As a result, good dynamic multivariate models are crucial for effective policy making and forecasting in areas of vital national importance such as monetary and fiscal policy, environmental policy and tourism. Our project advances the frontiers of knowledge in multivariate time series modelling. The outcome of this project will be immediately useful for macroeconomic policy makers such as the Reserve Bank of Australia and the Treasury, and for industry bodies such as Tourism Australia. Read moreRead less
Macroeconomic and Financial Modelling in an Era of Extremes. This project aims to develop methods to allow workhorse models in economics and finance to better reflect tail events--low probability extreme events, such as the Global Financial Crisis and the COVID-19 pandemic. It intends to address fundamental technical challenges in the estimation of such models, develop a coherent framework for counterfactual analysis of these models and propose methods to apply these models in a big-data environ ....Macroeconomic and Financial Modelling in an Era of Extremes. This project aims to develop methods to allow workhorse models in economics and finance to better reflect tail events--low probability extreme events, such as the Global Financial Crisis and the COVID-19 pandemic. It intends to address fundamental technical challenges in the estimation of such models, develop a coherent framework for counterfactual analysis of these models and propose methods to apply these models in a big-data environment. Expected outcomes include new insights into the transmission of tail risks in the global economic and financial system. This should provide significant benefits, including guidance to Australian and international policymakers charged with maintaining stability in the face of extreme events.Read moreRead less
How do company announcements affect trading frequency in stocks? This project addresses the question of how financial markets respond to news by investigating how company announcements affect trading patterns in Australian banking stocks. Analysis will be based on new extensions to autoregressive conditional hazard (ACH) models, with research focussing on how to incorporate announcement variables into an ACH framework and how to modify standard ACH analysis to account for simultaneous transactio ....How do company announcements affect trading frequency in stocks? This project addresses the question of how financial markets respond to news by investigating how company announcements affect trading patterns in Australian banking stocks. Analysis will be based on new extensions to autoregressive conditional hazard (ACH) models, with research focussing on how to incorporate announcement variables into an ACH framework and how to modify standard ACH analysis to account for simultaneous transactions, market frictions and spillover effects. The results of this research will assist government and companies in choosing announcement times, aid traders in portfolio adjustment and will lead to a better understanding of the microstructure of Australian stock markets.Read moreRead less
Natural resources and ecosystem services in productivity measurement. This project aims to understand sources of productivity growth through addressing theoretical and practical problems in the economics of natural resources and ecosystem services. It will study the valuation of non-renewable resources and ecosystem services, acknowledging their contributions to economic activity and the effect on national income from their depletion and degradation. It will develop approaches to incorporating n ....Natural resources and ecosystem services in productivity measurement. This project aims to understand sources of productivity growth through addressing theoretical and practical problems in the economics of natural resources and ecosystem services. It will study the valuation of non-renewable resources and ecosystem services, acknowledging their contributions to economic activity and the effect on national income from their depletion and degradation. It will develop approaches to incorporating natural resource depletion and degradation into productivity analysis with the aim of better informing environmental, innovation and industry policy.Read moreRead less
Higher order moment contagion testing: implications of the US subprime mortgage crisis for Australia. Even though crises are usually short lived, the long term implications of changes in asset values may be profound, particularly for superannuation assets. Implications of financial crises are also profound for institutions such as the RBA who change policy to achieve domestic objectives. The understanding of how internationally based financial crises affect Australia is important particularly wh ....Higher order moment contagion testing: implications of the US subprime mortgage crisis for Australia. Even though crises are usually short lived, the long term implications of changes in asset values may be profound, particularly for superannuation assets. Implications of financial crises are also profound for institutions such as the RBA who change policy to achieve domestic objectives. The understanding of how internationally based financial crises affect Australia is important particularly when domestic inflationary pressures would appear to precipitate the need for the RBA to take the opposite policy stance to that prevalent of central banks internationally. This proposal highlights these relationships to provide insights into portfolio allocation decisions and provides information to facilitate well founded decisions by policy makers.Read moreRead less